A note on put-call parity and the market efficiency of the London traded options market

Put-call parity and the efficiency of the London traded options market are tested via the construction of long and short hedges which incorporate the effects of ‘known’ dividend payments. Examination of the resulting returns and their subsequent analysis via regression models yield findings which support the put-call parity theorem and market efficiency.     

The impact of idiosyncratic uncertainty when investment opportunities are endogenous

This paper develops a general equilibrium model to study the impact of aggregate fluctuations in idiosyncratic volatility that incorporates the endogenous determination of investment opportunities. By making investment options more valuable, an increase in volatility encourages the creation of new investment options. I find the response of the economy to a volatility shock depends on how investment opportunities are obtained. If potential entrants are allowed to invest in new idiosyncratic technologies, thereby acquiring options for further investment, the volatility shock increases overall investment and results in an economic boom. On the other hand, if such an investment in option creation is precluded and investment opportunities are exogenously given, the volatility shock decreases aggregate investment.     

Pricing American barrier options with discrete dividends by binomial trees

We are concerned with the problem of pricing plain-vanilla and barrier options with cash dividends in a piecewise lognormal model. In the plain-vanilla case, we offer a method with provides thin upper and lower bounds of the exact binomial price. In the barrier case, we provide an efficient algorithm based on suitable interpolation techniques. As by-product, we provide a new method for pricing American barrier options with continuous dividends.     

Properties of shrinkage estimators in linear regression when disturbances are not normal

This paper considers a class of recently developed biased estimators of regression coefficients and studies its sampling properties when the disturbances are not normally distributed. It has been found that the conditions of dominance of these estimators over the least squares estimator, under non-normality, are quite different than their well-known dominance conditions under normality. Some implications of the results are also discussed.     

Optimal instruments when the disturbances are small

Single-equation instrumental variable estimators (e.g., the k-class) are frequently employed to estimate econometric equations. This paper employs Kadane's (1971) small-σ method and a squared-error matrix loss function to characterize a single-equation class of optimal instruments, $\text{A}$. $\text{A}$ is optimal (asymptotically for a small scalar multiple, σ, of the model's disturbance) in that all of its members are preferred to all non-members. From this characterization it is shown all k-class estimators and certain iterative estimators belong to $\text{A}$. However, non-iterative principal component estimators [e.g., Kloek and Mennes (1960)] are unlikely to belong to $\text{A}$. These latter instrumental variable estimators have been advocated [see Amemiya (1966) and Kloek and Mennes (1960)] for estimating ‘large’ econometric models.     

On the modeling of size distributions when technologies are complex

The study considers a stochastic R&D process where the invented production technologies consist of a large number $n$ of complementary components. The degree of complementarity is captured by the elasticity of substitution of the CES aggregator function. Drawing from the Central Limit Theorem and the Extreme Value Theory we find, under very general assumptions, that the cross-sectional distributions of technological productivity are well-approximated either by the lognormal, Weibull, or a novel “CES/Normal” distribution, depending on the underlying elasticity of substitution between technology components. We find the tail of the “CES/Normal” distribution to be fatter than the Weibull tail but qualitatively thinner than the Pareto (power law) one. We also numerically assess the rate of convergence of the true technological productivity distribution to the theoretical limit with $n$ as fast in the body but slow in the tail.     

股市震荡调整楼市在反弹吗？

自“5·30”以来，持续一个多月的股市调整，让不少此前冲着牛市来股市赚一把的投资者失望之极。股市的小调必然导致资金的外流，最近一周以来沪深两市的交易量持续萎缩就是强有力的证据。     

Testing for homogeneity in demand systems when the regressors are nonstationary

An implication of optimizing theory is that demand functions are homogeneous of degree zero in prices and nominal income. Evidence based on estimations of demand systems has repeatedly found this restriction to be rejected by the data. However, the hypothesis is often formulated in terms of regressors that are non-stationary. This paper re-examines the evidence for homogeneity in light of recent developments in time-series econometrics with special emphasis on the treatment of trends. We find the demand system to be stochastically but not deterministically cointegrated. Using techniques developed for estimating cointegrating vectors in the presence of deterministic trends, we re-estimate the demand system and find that homogeneity holds in many cases.     

Testing for the cointegration rank when some cointegrating directions are changing

We develop some tests for characterizing the cointegration space of a cointegrated vector autoregressive model when its long-run parameters are modified by a structural break at a known date. We first consider the case in which the break does not affect the loading factors and second the more general one in which all long-run parameters change. For each configuration, we design procedures to test for the cointegration rank as for the number of directions which are changing between the two regimes. For the simplest case, the cointegration rank test is also extended to the case of an unknown date of shift.     

The density of the parameter estimators when the observations are distributed exponentially

We present the probability density of parameter estimators whenN independent variables are observed, each of them distributed according to the exponential low (with some parameters to be estimated). The numberN is supposed to be small. Typically, such an experimental situation arises in problems of software reliability, another case is a small sample in the GLIM modeling. The considered estimator is defined by the maximum of the posterior probability density; it is equal to the maximum likelihood estimator when the prior is uniform. The exact density is obtained, and its approximation is discussed in accordance with some information-geometric considerations. The main body of the paper has been prepared during the author’s visit in LMC/IMAG Grenoble, France, on the invitation of Université Joseph Fourier in January 1994.     

Efficient sets with and without the expected utility hypothesis

Consider a feasible set, X, of c.d.f.'s. Assume that the set of decision makers, who must choose from X, includes non-expected utility decision makers who are risk averse in some weaker notions. We show that in this case the efficient set of X expands relative to the expected utility case. We characterize the efficient sets for each notion of risk aversion including the expected utility case. It is also shown that the limited-coverage insurance policies, which are not efficient under the expected utility hypothesis, belong to the efficient set when weakly risk-averse non- expected utility functionals are assumed to exist.     

Spline regression for hazard rate estimation when data are censored and measured with error

In this paper, we study an estimation problem where the variables of interest are subject to both right censoring and measurement error. In this context, we propose a nonparametric estimation strategy of the hazard rate, based on a regression contrast minimized in a finite‐dimensional functional space generated by splines bases. We prove a risk bound of the estimator in terms of integrated mean square error and discuss the rate of convergence when the dimension of the projection space is adequately chosen. Then we define a data‐driven criterion of model selection and prove that the resulting estimator performs an adequate compromise. The method is illustrated via simulation experiments that show that the strategy is successful.     

浅析我国网上药店发展所面临的机遇和挑战

近几年,我国网上购物发展迅速,为网上药店的发展奠定了良好的基础。文章首先描述网上药店所面临的一系列机遇,随后介绍其目前存在的挑战,最后针对这些挑战提出了几点改善建议。     

Sprumont's characterization of the uniform rule when all single-peaked preferences are admissible

Sprumont (1991) has established that the only allocation rule for the division problem that is strategy-proof, efficient, and anonymous is the uniform rule when the domain is the set of all possible profiles of continuous single-peaked preferences. Sprumont's characterization of the uniform rule is shown to hold on any larger domain of single-peaked preferences. Received: 15 December 1998 / Accepted: 12 April 1999     

The moments of ols and 2sls when the disturbances are non-normal

This paper examines the exact moments of OLS and 2SLS structural estimators under the assumption that the reduced form disturbances follow a non-normal distribution of the Edgeworth type with specified skewness (λ₃) and kurtosis (λ₄). The exact results are given as functions of hypergeometric functions and λ₃ and λ₄. The technique used is that developed by Davis (1976), and it is shown that when λ₃ = λ₄ = 0 the results correspond to Sawa's (1972).     

Profit sharing and the quality of relations with the boss

Profit sharing generates conflicting changes in the relationship between supervisors and workers. It may increase cooperation and helping effort. At the same time it can increase direct monitoring and pressure by the supervisor, and mutual monitoring and peer pressure from other workers that is transmitted through the supervisor. Using UK data on satisfaction with the boss, we show in both cross-section and panel estimates that workers under profit sharing tend to have lower satisfaction with their supervisor. This result persists even as profit sharing has no or a positive influence on other dimensions of job satisfaction. Additional estimates show that lower satisfaction with the supervisor is largely generated by women, who may be less able to respond to peer pressure, and by non-union workers, who may have more to lose by failing to respond to peer pressure.     

Conditional inference procedures for the Laplace distribution when the observed samples are progressively censored

In this paper, we develop procedures for obtaining confidence intervals for the parameters of a Laplace distribution as well as upper and lower γ probability tolerance intervals for a proportion β, given a progressively Type-II right censored sample from the Laplace distribution. The intervals are obtained by conditioning on the observed values of the ancillary statistics. The intervals are exact, do not require numerical integration, and generalize the work of Childs and Balakrishnan (1996) who considered the conventional Type-II right censored case. Received: February 2000